B. F. Nteumagné

American options under tempered space-fractional diffusion: Riesz scaling, risk-neutral pricing, and exercise boundary analysis

Pure stable log-price models with stability index γ < 2 have no finite positive exponential moment and therefore cannot be used directly as risk-neutral exponential stock models. This paper reformulates the space-fractional American put problem under a symmetric tempered-stable log-price process, whose finite moment...